Lofting between Splines
In blender this is called Skinning:


Add a NURBS surface circle Shift+a, s, c.
Tab into edit mode.
Shift+d to duplicate your the segment a few times.
Select you segments, aa for all of them.
Press f to skin selection.


You'll probably also want to unable Endpoint U in the Active Spline panel under "Object data" in the Properties window.



The image included in the question shows a shape with a differing number of segment points. This is currently not possible.



Note. There's work being done to give Blenders limited NURBS a overhaul (but progress has been slow).